If you don't enjoy the setting, I don't see how you can enjoy the game.

For example KH II (only one I've played). I enjoyed the gameplay, but strongly disliked the Disney elements to the game. It was only because of the Final Fantasy characters thrown into the mix that I even picked it up in the first place, and even then I barely got through it. Had it been a Disney only affair, there would have been no point in me ever picking it up, even if it had the most enjoyable gameplay in the world.

Well I agree you should never judge a game by its cover, so to speak, but if the setting of the game is something that you know you will hate it is somewhat of a waste to even try to get into it for gameplay reasons.